Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 21 (1D) Nov 24 (4D) Nov 25 (5D) Nov 26 (6D) Nov 27 (7D) Nov 28 (8D) Dec 01 (11D) Dec 02 (12D) Dec 03 (13D) Dec 04 (14D) Dec 12 (22D) Dec 19 (29D) Dec 26 (36D)
lower 654.424 646.218 644.28 642.529 640.919 639.42 635.413 634.203 633.042 631.925 624.14 618.439 613.393
upper 670.836 679.042 680.98 682.731 684.341 685.84 689.847 691.057 692.218 693.335 701.12 706.821 711.867
expected move 8.206 16.412 18.35 20.101 21.711 23.21 27.217 28.427 29.588 30.705 38.49 44.191 49.237
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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